Determiants of the volatility smile: A study on the TAIEX option
碩士 === 長庚大學 === 企業管理研究所 === 94 === In this paper a study of the smile pattern of TAIEX index options is presented. On the basis of daily data from January 2004 to June 2005, we use implied volatility functions with two alternative moneyness measures to estimate time series that describe the shape of...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2006
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| Online Access: | http://ndltd.ncl.edu.tw/handle/15205670709263371357 |